# create Queues
queue = BufferedQueue()
result = Queue()
p1 = Process(target=process_func, args=[queue, result])
p2 = Process(target=process_func, args=[queue, result])
p1.setStoppable(True); p2.setStoppable(True)
p1.start(); p2.start()
while len(ok_strats) != wanted_output and batch_runs < max_batch_runs:
task_id = len(tasks)
strategy_id = len(strategies_args)
batch_tasks = []
batch_args = random_strategies_generator(number=batch_nr,
exclude=strategies_args)
strategies_args.extend(batch_args)
# create tasks for this batch
for args in batch_args:
strategy_id_task_map[strategy_id] = []
for day in days:
task = {'strategy_id': strategy_id, 'strategy_args': args,
'day': day.timetuple()[:3], 'ticker': ticker_details,
'task_id': task_id}
tasks[task_id] = task
strategy_id_task_map[strategy_id].append(task_id)
batch_tasks.append(task)
task_id += 1
strategy_results[strategy_id] = 0
strategy_id += 1
from signals import random_strategies_generator
from tickdata import get_random_week_triplet, random_day_generator
ticker_map = {
"ES": {'increment': 0.25, 'commission': 0.1, 'start': (2006, 1, 1),
'end': (2007, 1, 1), 'hours': ((8,30), (14,45))},
}
if __name__ == '__main__':
symbol = "ES"
ticker_details = ticker_map.get(symbol)
ticker_details.update({'symbol': symbol})
nr_strategies = 1000
strategy_args = random_strategies_generator(number=nr_strategies)
#sdt = datetime(*ticker_details['start'])
#edt = datetime(*ticker_details['end'])
#days = random_day_generator(symbol, sdt, edt, nr_days)
prev_w, cur_w, next_w = get_random_week_triplet("ES")
# -- map --
# step 1, get strategies that work in the current week
days = cur_w
nr_days = len(days)
print "step 1 started at %s" % str(datetime.now())
# create tasks
tasks = {}
task_id = 1
strategy_id = 0
if __name__ == '__main__':
from datetime import datetime
import time
from signals import strategy_builder, tops_signal_params_generator
from signals import random_strategies_generator, create_strategy_map
from tickdata import ES_ticks
from ticker import Ticker
from utils import random_weekday
from simulation import SimulationRunner
tops_signal_args = tops_signal_params_generator()
nr_of_strategies = 10
random_strategy_args = random_strategies_generator(tops_signal_args,
output=nr_of_strategies)
strategy_map = create_strategy_map(random_strategy_args)
# setup
start = datetime(2004, 1, 1)
end = datetime(2007, 1, 1)
ticks = None
print "picking random weekday..."
while not ticks:
weekday = random_weekday(start, end)
print "random weekday: %s" % str(weekday)
ticks = ES_ticks(weekday)
if not ticks: print "no ticks found for: %s, trying again..." % str(weekday)
print "tick data loaded..."
